# EMPIRICAL_DESIGN.md

Working design document — expands as stages complete. Authoritative parameter values live in config/. Protocol reference: project CLAUDE.md §§7–16.

# Objects of interest

1. Shocks: idiosyncratic residual-return extremes (lagged conditional quantiles / robust SD multiples), separated by sign; volume, range, and illiquidity-proxy shocks.
2. Propagation outcomes: breadth, speed (censoring-aware), intensity, amplification (ISAR), persistence, asymmetry, at horizons h ∈ {1,2,5,10,15,30,60,120} min within session.
3. Networks: estimated strictly pre-shock (rolling/frozen windows): correlation, partial correlation, lead–lag, volatility spillover, sparse VAR/glasso; centrality roles.
4. Evolution: flexible year effects first; era bins only as secondary presentation.

# Identification strategy (threat: common information)

• Exclude scheduled macro windows from the idiosyncratic baseline.
• Isolation filters: low contemporaneous market/sector return, no simultaneous extreme in >2% of universe, leave-one-out factors.
• Placebo timing matched on stock, minute-of-day, volatility state.
• Permuted networks preserving degree/sector/size/liquidity.
• Negative controls: future network weights (falsification only), pre-shock outcomes.

# Inference

Two-way clustering (source × date) as baseline; day-block bootstrap for distribution-level statements; randomization inference for event studies; multiple-testing corrections within outcome families.

# Status

• Stage A pilot audit (2026-07-13)
• Stage B full download — in progress
• Stage C full raw audit
• Stage D clean panels
• Stage E descriptive evidence
• Stage F shocks & propagation
• Stage G paper